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Computing Maximum Entropy Densities: A Hybrid Approach

Author(s): Badong Chen, Jinchun Hu & Yu Zhu

Journal: Signal Processing : An International Journal
ISSN 1985-2339

Volume: 4;
Issue: 2;
Start page: 114;
Date: 2010;
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Keywords: Maximum entropy principle (MEP) | maximum entropy density | Lagrange multiplier | Newton’s method | hybrid algorithm.

This paper proposes a hybrid method to calculate the maximum entropy(MaxEnt) density subject to known moment constraints, which combines thelinear equation (LE) method and Newton’s method together. The new approachis more computationally efficient than ordinary Newton’s method as it usuallytakes fewer Newton iterations to reach the final solution. Compared with thesimple LE method, the hybrid algorithm will produce a more accurate solution.Numerical examples confirm the excellent performance of the proposed method.
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